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Numerical Solution of the Hamilton-Jacobi-Bellman Equation for Stochastic Optimal Control Problems

Author(s):

H. Peyrl, F. Herzog, H.P. Geering
Conference/Journal:

WSEAS International Conference on DYNAMICAL SYSTEMS and CONTROL, Venice, Italy, pp. 489-497
Abstract:

This paper provides a numerical solution of the Hamilton-Jacobi-Bellman (HJB) equation for stochastic optimal control problems. The computation's difficulty is due to the nature of the HJB equation being a second-order partial differential equation which is coupled with an optimization. By using a successive approximation algorithm, the optimization gets separated from the boundary value problem. This makes the problem solveable by standard numerical methods. For a problem of portfolio optimization where no analytical solution is known, the numerical methods is applied and its usefulness demonstrated.

Year:

2005
Type of Publication:

(01)Article
Supervisor:



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% Autogenerated BibTeX entry
@InProceedings { PeyHer:2005:IFA_2788,
    author={H. Peyrl and F. Herzog and H.P. Geering},
    title={{Numerical Solution of the Hamilton-Jacobi-Bellman Equation
	  for Stochastic Optimal Control Problems}},
    booktitle={WSEAS International Conference on DYNAMICAL SYSTEMS and
	  CONTROL},
    pages={489--497},
    year={2005},
    address={Venice, Italy},
    month=nov,
    url={http://control.ee.ethz.ch/index.cgi?page=publications;action=details;id=2788}
}
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